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1 – 10 of over 8000Renkuan Guo, Danni Guo and YanHong Cui
The purpose of this paper is to propose an uncertain regression model with an intrinsic error structure facilitated by an uncertain canonical process.
Abstract
Purpose
The purpose of this paper is to propose an uncertain regression model with an intrinsic error structure facilitated by an uncertain canonical process.
Design/methodology/approach
This model is suitable for dealing with expert's knowledge ranging from small to medium size data of impreciseness. In order to have a rigorous mathematical treatment on the new regression model, this paper establishes a series of new uncertainty concepts sequentially, such as uncertainty joint multivariate distribution, the uncertainty distribution of uncertainty product variables and uncertain covariance and correlation based on the axiomatic uncertainty theoretical foundation. Two examples are given for illustrating a small data regression analysis.
Findings
The uncertain regression model is formulated and the estimation of the model coefficients is developed.
Practical implications
The paper is devoted to a regression model to handle a small amount of data with mathematical rigor.
Originality/value
The theory and the methodology of the uncertain canonical process regression is proposed for the first time. It addresses the practical challenges of small data size modelling.
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The design and pricing of weather‐based insurance instruments is strongly based on an implicit assumption that the dependence structure between crop yields and weather variables…
Abstract
Purpose
The design and pricing of weather‐based insurance instruments is strongly based on an implicit assumption that the dependence structure between crop yields and weather variables remains unchanged over time. The purpose of this paper is to verify this critical assumption by employing historical time series of weather and farm yields from a semi‐arid region.
Design/methodology/approach
The analysis employs two different approaches to measure dependence in multivariate distributions – the regression analysis and copula approach. The estimations are done by employing Bayesian hierarchical model.
Findings
The paper reveals statistically significant temporal changes in the joint distribution of weather variables and wheat yields for grain‐producing farms in Kazakhstan over the period from 1961 to 2003.
Research limitations/implications
By questioning its basic assumption the paper draws attention to serious limitations in the current methodology of the weather‐based insurance design.
Practical implications
The empirical results obtained indicate that the relationship between weather and crop yields is not fixed and can change over time. Accordingly, greater effort is required to capture potential temporal changes in the weather‐yield‐relationship and to consider them while developing and rating weather‐based insurance instruments.
Originality/value
The estimation of selected copula and regression models has been done by employing Bayesian hierarchical models.
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The purpose of this study is to investigate the information asymmetry pricing (relation between information asymmetry and expected return) based on environmental uncertainty and…
Abstract
Purpose
The purpose of this study is to investigate the information asymmetry pricing (relation between information asymmetry and expected return) based on environmental uncertainty and accounting conservatism.
Design/methodology/approach
The current study applies panel regression method estimator to investigate the relationship between accounting conservatism, environmental uncertainty and information asymmetry pricing of 1,309 firm-year observations in Iran for the period 2008–2018.
Findings
The result indicated the negative relation between accounting conservation and information asymmetry pricing and documented a positive association between environmental uncertainty and information asymmetry pricing.
Practical implications
In the present study, the weaknesses caused by the ambiguity of capital market efficiency in market performance-based statistical models are compensated and partially covered by quantifying the relationships and implementing models in each quintile. Results obtained from this study will aid policymakers to evaluate disclosure rules and firms to manage their information. The study is based on the corporate accounting and financial literature and examines behavioral changes in information and its effect on information asymmetry pricing that can be applied to investors, managers, standardization committees and legislators.
Originality/value
The risk of accounting information in the context of the capital market environment can be divided into two parts: a part that is ambiguous about the accuracy of this information and another part that is a distribution of information. Unlike other research, information asymmetry pricing has also been addressed with regard to the origin and distribution of information. This study also considers the effect of information asymmetry and market constraints by considering the ability of financial reports to transmit firm information.
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James B. Brown, Robert F. Lusch and Harold F. Koenig
An empirical investigation examining the environmental uncertainty regarding inventory ordering which confronts a retailer in dealing with its suppliers is described. Of…
Abstract
An empirical investigation examining the environmental uncertainty regarding inventory ordering which confronts a retailer in dealing with its suppliers is described. Of particular interest is how this uncertainty impacts on retailers' behavioural relationships with their suppliers. The findings indicate that increased levels of environmental uncertainty regarding inventory ordering result in higher levels of retailer‐supplier conflict. Suppliers that can offer retailers better customer service in order to reduce environmental uncertainty can improve their relations with retailers and thus develop a more efficient distribution system.
Fernando Rojas and Victor Leiva
The objective of this paper is to propose a methodology based on random demand inventory models and dependence structures for a set of raw materials, referred to as “components”…
Abstract
Purpose
The objective of this paper is to propose a methodology based on random demand inventory models and dependence structures for a set of raw materials, referred to as “components”, used by food services that produce food rations referred to as “menus”.
Design/methodology/approach
The contribution margins of food services that produce menus are optimised using random dependent demand inventory models. The statistical dependence between the demand for components and/or menus is incorporated into the model through the multivariate Gaussian (or normal) distribution. The contribution margins are optimised by using probabilistic inventory models for each component and stochastic programming with a differential evolution algorithm.
Findings
When compared to the non-optimised system previously used by the company, the (average) expected contribution margin increases by 18.32 per cent when using a continuous review inventory model for groceries and uniperiodic models for perishable components (optimised system).
Research limitations/implications
The multivariate modeling can be improved by using (a) other non-Gaussian (marginal) univariate probability distributions, by means of the copula method that considers more complex statistical dependence structures; (b) time-dependence, through autoregressive time-series structures and moving average; (c) random modelling of lead-time; and (d) demands for components with values equal to zero using zero-inflated or adjusted probability distribution.
Practical implications
Professional management of the supply chain allows the users to register data concerning component identification, demand, and stock levels to subsequently be used with the proposed methodology, which must be implemented computationally.
Originality/value
The proposed multivariate methodology allows it to describe demand dependence structures through inventory models applicable to components used to produce menus in food services.
Propuesta
Este trabajo propone una metodología basada en modelos de inventarios con demanda aleatoria y estructura de dependencia para un conjunto de materias primas, denominadas “componentes”, usadas por servicios de alimentación que producen raciones alimenticias denominadas “menús”.
Diseño/Metodología
Los margen de contribución de servicios de alimentación que producen menús son optimizados empleando modelos de inventarios con demandas aleatorias dependientes. La dependencia estadística entre demandas de componentes y/o menús es incorporada en el modelado mediante la distribución gaussiana (o normal) multivariada. La optimización de los márgenes de contribución se logra usando modelos de inventarios probabilísticos para cada componente y programación estocástica mediante el algoritmo de evolución diferencial.
Resultados
El margen de contribución esperado (promedio) aumenta en un 18,32% usando modelos de inventario de revisión continua para abarrotes y modelos uniperiódicos para componentes perecederos (sistema optimizado), en relación al sistema no optimizado usado anteriormente por la compañía.
Originalidad
La metodología multivariada propuesta permite describir estructuras de dependencia de la demanda mediante modelos de inventario aplicables a componentes usados para producir menús en servicios de alimentación.
Implicancias prácticas
Una administración profesional de la gestión de la cadena de suministros permite registrar datos de la identificación del componente, su demanda y sus niveles de stock para ser usados posteriormente con la metodología propuesta, la que debe estar implementada computacionalmente.
Limitaciones
El modelado multivariado puede ser mejorado (a) utilizando distribuciones probabilísticas univariadas (marginales) distintas a la gaussiana, mediante métodos de cópulas que recojan estructuras de dependencia estadística más complejas; (b) considerando demandas de componentes con valores iguales a cero, mediante distribuciones probabilísticas infladas en cero; (c) usando dependencia temporal, mediante estructuras de series de tiempo autorregresivas y de media móvil, y (d) modelando el lead-time en forma aleatoria.
Details
Keywords
- Contribution margins
- Multivariate distribution
- Optimization methods
- Probabilistic inventory models
- Statistical dependence
- dependencia estadística
- distribuciones multivariantes
- márgenes de contribución
- modelos de inventarios probabilísticos
- métodos de optimización
- modelos de inventarios probabilísticos
This paper is an overview of reconstructability analysis (RA), an approach to discrete multivariate modeling developed in the systems community. RA includes set‐theoretic modeling…
Abstract
This paper is an overview of reconstructability analysis (RA), an approach to discrete multivariate modeling developed in the systems community. RA includes set‐theoretic modeling of relations and information‐theoretic modeling of frequency and probability distribution. It thus encompasses both statistical and nonstatistical problems. It overlaps with logic design and machine learning in engineering and with log‐linear modeling in the social sciences. Its generality gives it considerable potential for knowledge representation and data mining.
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Zhanpeng Shen, Chaoping Zang, Xueqian Chen, Shaoquan Hu and Xin-en Liu
For fast calculation of complex structure in engineering, correlations among input variables are often ignored in uncertainty propagation, even though the effect of ignoring these…
Abstract
Purpose
For fast calculation of complex structure in engineering, correlations among input variables are often ignored in uncertainty propagation, even though the effect of ignoring these correlations on the output uncertainty is unclear. This paper aims to quantify the inputs uncertainty and estimate the correlations among them acorrding to the collected observed data instead of questionable assumptions. Moreover, the small size of the experimental data should also be considered, as it is such a common engineering problem.
Design/methodology/approach
In this paper, a novel method of combining p-box with copula function for both uncertainty quantification and correlation estimation is explored. Copula function is utilized to estimate correlations among uncertain inputs based upon the observed data. The p-box method is employed to quantify the input uncertainty as well as the epistemic uncertainty associated with the limited amount of the observed data. Nested Monte Carlo sampling technique is adopted herein to ensure that the propagation is always feasible. In addition, a Kriging model is built up to reduce the computational cost of uncertainty propagation.
Findings
To illustrate the application of this method, an engineering example of structural reliability assessment is performed. The results indicate that it may significantly affect output uncertainty whether to quantify the correlation among input variables. Furthermore, an additional advantage for risk management is obtained in this approach due to the separation of aleatory and epistemic uncertainties.
Originality/value
The proposed method takes advantage of p-box and copula function to deal with the correlations and limited amount of the observed data, which are two important issues of uncertainty quantification in engineering. Thus, it is practical and has the ability to predict accurate response uncertainty or system state.
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Leonidas A. Zampetakis and Vassilis S. Moustakis
The purpose of this paper is to present an inductive methodology, which supports ranking of entities. Methodology is based on Bayesian latent variable measurement modeling and…
Abstract
Purpose
The purpose of this paper is to present an inductive methodology, which supports ranking of entities. Methodology is based on Bayesian latent variable measurement modeling and makes use of assessment across composite indicators to assess internal and external model validity (uncertainty is used in lieu of validity). Proposed methodology is generic and it is demonstrated on a well‐known data set, related to the relative position of a country in a “doing business.”
Design/methodology/approach
The methodology is demonstrated using data from the World Banks' “Doing Business 2008” project. A Bayesian latent variable measurement model is developed and both internal and external model uncertainties are considered.
Findings
The methodology enables the quantification of model structure uncertainty through comparisons among competing models, nested or non‐nested using both an information theoretic approach and a Bayesian approach. Furthermore, it estimates the degree of uncertainty in the rankings of alternatives.
Research limitations/implications
Analyses are restricted to first‐order Bayesian measurement models.
Originality/value
Overall, the presented methodology contributes to a better understanding of ranking efforts providing a useful tool for those who publish rankings to gain greater insights into the nature of the distinctions they disseminate.
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Mahdi Ghaemi Asl, Muhammad Mahdi Rashidi and Seyed Ali Hosseini Ebrahim Abad
The purpose of this study is to investigate the correlation between the price return of leading cryptocurrencies, including Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar…
Abstract
Purpose
The purpose of this study is to investigate the correlation between the price return of leading cryptocurrencies, including Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, Peercoin and Dash, and stock return of technology companies' indices that mainly operate on the blockchain platform and provide financial services, including alternative finance, democratized banking, future payments and digital communities.
Design/methodology/approach
This study employs a Bayesian asymmetric dynamic conditional correlation multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (BADCC-MGARCH) model with skewness and heavy tails on daily sample ranging from August 11, 2015, to February 10, 2020, to investigate the dynamic correlation between price return of several cryptocurrencies and stock return of the technology companies' indices that mainly operate on the blockchain platform. Data are collected from multiple sources. For parameter estimation and model comparison, the Markov chain Monte Carlo (MCMC) algorithm is employed. Besides, based on the expected Akaike information criterion (EAIC), Bayesian information criterion (BIC), deviance information criterion (DIC) and weighted Deviance Information Criterion (wDIC), the skewed-multivariate Generalized Error Distribution (mvGED) is selected as an optimal distribution for errors. Finally, some other tests are carried out to check the robustness of the results.
Findings
The study results indicate that blockchain-based technology companies' indices' return and price return of cryptocurrencies are positively correlated for most of the sampling period. Besides, the return price of newly invented and more advanced cryptocurrencies with unique characteristics, including Monero, Ripple, Dash, Stellar and Peercoin, positively correlates with the return of stock indices of blockchain-based technology companies for more than 93% of sampling days. The results are also robust to various sensitivity analyses.
Research limitations/implications
The positive correlation between the price return of cryptocurrencies and the return of stock indices of blockchain-based technology companies can be due to the investors' sentiments toward blockchain technology as both cryptocurrencies and these companies are based on blockchain technology. It could also be due to the applicability of cryptocurrencies for these companies, as the price return of more advanced and capable cryptocurrencies with unique features has a positive correlation with the return of stock indices of blockchain-based technology companies for more days compared to the other cryptocurrencies, like Bitcoin, Litecoin and Ethereum, that may be regarded more as speculative assets.
Practical implications
The study results may show the positive role of cryptocurrencies in improving and developing technology companies that mainly operate on the blockchain platform and provide financial services and vice versa, suggesting that managers and regulators should pay more attention to the usefulness of cryptocurrencies and blockchains. This study also has important risk management and diversification implications for investors and companies investing in cryptocurrencies and these companies' stock. Besides, blockchain-based technology companies can add cryptocurrencies to their portfolio as hedgers or diversifiers based on their strategy.
Originality/value
This is the first study analyzing the connection between leading cryptocurrencies and technology companies that mainly operate on the blockchain platform and provide financial services by employing the Bayesian ssymmetric DCC-MGARCH model. The results also have important implications for investors, companies, regulators and researchers for future studies.
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Sajjadur Rahman and Apostolos Serletis
The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries.
Abstract
Purpose
The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries.
Design/methodology/approach
The paper uses the econometric framework developed by Elder in the context of a multivariate framework in which a structural vector autoregression (VAR) is modified to accommodate multivariate GARCH‐in‐mean (MGARCH‐M) errors. It calculates the impulse response functions for the multivariate GARCH(1,1)‐in‐mean VAR in order to see whether the specification captures the fundamental dynamics.
Findings
The results show that inflation uncertainty has differential effects on output growth across these countries.
Originality/value
In the context of multivariate GARCH(1,1)‐in‐mean VAR, this paper uses a non‐recursive identification scheme and separate identification for the large and small economies.
Details